Orbits Venture, Inc. : Risk Sigma Program No. 1

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
0.32%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
14.04%
Sharpe (RFR=1%)
0.64
CAROR
9.19%
Assets
$ 2.9M
Worst DD
-33.81
S&P Correlation
0.12

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr 2019 1yr 3yr 5yr 10yr Since
1/2009
Risk Sigma Program No. 1 0.32 2.16 - 8.44 23.56 33.08 - 120.60
S&P 500 3.43 5.21 - 18.21 28.55 85.57 - 209.77
+/- S&P 500 -3.11 -3.05 - -9.77 -4.98 -52.49 - -89.17

Strategy Description

Summary

“Risk Sigma” is a short term “mean reversion” trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period vs. 2~3 months for other programs. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
Average Commission
$6.99
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
10000 RT/YR/$M
Avg. Margin-to-Equity
65%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
33.81%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

“Risk Sigma” is a short term “mean reversion” trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period vs. 2~3 months for other programs. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs.

Our strategy is generated by rigorous mathematical and quantitative models without having doctrinaire perspective favoring any prescribed textbook investing or trading methodology. Following the ebb and flow of market actions, we not only look at absolute returns but also focus on risk adjusted returns.

“Risk Sigma” is available through managed accounts and offers daily transparency. We trade liquid product and can offer weekly liquidity. The program’s goal is to maintain a Sharpe Ratio of high 1. The design of “Risk Sigma” is not keyed or correlated with other major indices such as S&P500, and seeks to offer great diversification value to investors.

Investment Strategy

“Risk Sigma” invests in S&P 500 Futures and Options with the objective of achieving consistent capital growth, which aims to be uncorrelated with the S&P 500 index and other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios and to provide added-value as a diversification to portfolios that already have other assets, such as trend-following or momentum strategies.

The program is model-driven. It seeks to generate returns from both volatility and directional market. The program may express its market views by shorting calls at intermediate term tops, shorting puts at intermediate bottoms and shorting strangles at range market. It may also long or short futures to hedge the portfolio risk.

Risk Management

Our risk management system has been designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems. A combination of risk management and portfolio cash allocations is tailored to be consistent with the individual investor’s resources and risk tolerance.

Trading SP500 index futures and options sees large daily market volumes. After witnessing the vacuum market conditions observed around the market extremes in the last one and half decades, we decide to put liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-33.81 3 19 5/1/2011 8/1/2011
-10.92 2 9 4/1/2013 6/1/2013
-4.38 1 3 6/1/2014 7/1/2014
-4.17 1 6 11/1/2014 12/1/2014
-3.37 1 1 2/1/2011 3/1/2011
-3.13 1 3 12/1/2009 1/1/2010
-1.95 1 2 6/1/2010 7/1/2010
-0.68 1 2 2/1/2009 3/1/2009
-0.03 1 1 9/1/2015 10/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
36.77 9 9/1/2011 5/1/2012
26.71 9 8/1/2012 4/1/2013
20.26 9 4/1/2009 12/1/2009
14.68 12 7/1/2013 6/1/2014
14.08 7 8/1/2010 2/1/2011
13.69 2 1/1/2009 2/1/2009
9.30 5 2/1/2010 6/1/2010
9.20 2 4/1/2011 5/1/2011
8.44 12 1/1/2017 12/1/2017
7.92 4 8/1/2014 11/1/2014
6.95 13 11/1/2015 11/1/2016
6.57 9 1/1/2015 9/1/2015
5.99 1 7/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.32 1 8/1/2011 8/1/2011
-10.92 2 5/1/2013 6/1/2013
-10.38 1 6/1/2011 6/1/2011
-9.21 2 6/1/2012 7/1/2012
-4.38 1 7/1/2014 7/1/2014
-4.17 1 12/1/2014 12/1/2014
-3.37 1 3/1/2011 3/1/2011
-3.13 1 1/1/2010 1/1/2010
-1.95 1 7/1/2010 7/1/2010
-0.68 1 3/1/2009 3/1/2009
-0.03 1 10/1/2015 10/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00
Percent Profitable87.0481.1383.5087.6384.6291.76100.00100.00100.00
Average Period Return0.832.304.448.0211.5814.6721.8231.6540.76
Average Gain1.794.427.2610.9314.9016.4421.8231.6540.76
Average Loss-6.07-6.80-9.81-12.57-6.74-5.00
Best Period9.2516.6727.8335.7951.4954.9657.3668.5177.79
Worst Period-30.32-33.81-30.16-21.85-15.99-11.585.658.5916.30
Standard Deviation4.056.739.1810.6012.8012.7310.2213.3414.21
Gain Standard Deviation1.773.465.807.3810.8011.7010.2213.3414.21
Loss Standard Deviation7.959.469.996.015.034.38
Sharpe Ratio (1%)0.180.300.430.660.790.991.842.072.51
Average Gain / Average Loss0.300.650.740.872.213.29
Profit / Loss Ratio2.132.793.756.1612.1736.64
Downside Deviation (10%)3.485.316.366.566.105.212.852.792.50
Downside Deviation (5%)3.405.045.755.183.762.32
Downside Deviation (0%)3.394.985.604.863.261.85
Sortino Ratio (10%)0.120.200.310.460.650.852.133.625.25
Sortino Ratio (5%)0.220.410.691.352.685.45
Sortino Ratio (0%)0.240.460.791.653.567.95

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.